文章基本信息

标题：A Lynden-Bell integral estimator for the tail index of right-truncated data with a random threshold
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作者：Nawel Haouas ; Abdelhakim Necir ; Djamel Meraghni 等
期刊名称：Afrika Statistika
印刷版ISSN：2316-090X
出版年度：2017
卷号：12
期号：1
页码：1159-1170
语种：English
出版社：African journals online
摘要：By means of a Lynden-Bell integral with deterministic threshold, Worms and Worms [A Lynden-Bell integral estimator for extremes of randomly truncated data. Statist. Probab. Lett. 2016; 109: 106-117] recently introduced an asymptotically normal estimator of the tail index for randomly right-truncated Pareto-type data. In this context, we consider the random threshold case to derive a Hill-type estimator and establish its consistency and asymptotic normality. A simulation study is carried out to evaluate the finite sample behavior of the proposed estimator.